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Pricing credit derivatives under incomplete information : a nonlinear-filtering approach
Frey, Rüdiger; Runggaldier, Wolfgang J. - In: Finance and stochastics 14 (2010) 4, pp. 495-526
Persistent link: https://www.econbiz.de/10008823701
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Anomalous PDEs in Markov chains : domains of validity and numerical solutions
Norberg, Ragnar - In: Finance and stochastics 9 (2005) 4, pp. 519-537
Persistent link: https://www.econbiz.de/10003133253
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Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Frey, Rüdiger; Schmidt, Thorsten - In: Finance and stochastics 16 (2012) 1, pp. 105-133
Persistent link: https://www.econbiz.de/10009423247
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Sensitivity estimates for portfolio credit derivatives using Monte Carlo
Chen, Zhiyong; Glasserman, Paul - In: Finance and stochastics 12 (2008) 4, pp. 507-540
Persistent link: https://www.econbiz.de/10003899268
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Quasi-Monte Carlo methods with applications in finance
L'Ecuyer, Pierre - In: Finance and stochastics 13 (2009) 3, pp. 307-349
Persistent link: https://www.econbiz.de/10003899308
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Adjoint-based Monte Carlo calibration of financial market models
Kaebe, C.; Maruhn, J. H.; Sachs, Ekkehard - In: Finance and stochastics 13 (2009) 3, pp. 351-379
Persistent link: https://www.econbiz.de/10003899315
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On irregular functionals of SDEs and the Euler scheme
Avikainen, Rainer - In: Finance and stochastics 13 (2009) 3, pp. 381-401
Persistent link: https://www.econbiz.de/10003899316
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
Giles, Michael B.; Higham, Desmond J.; Mao, Xuerong - In: Finance and stochastics 13 (2009) 3, pp. 403-413
Persistent link: https://www.econbiz.de/10003899321
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A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
Ninomiya, Mariko; Ninomiya, Syoiti - In: Finance and stochastics 13 (2009) 3, pp. 415-443
Persistent link: https://www.econbiz.de/10003899325
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Basket CDS pricing with interacting intensities
Zheng, Harry; Jiang, Lishang - In: Finance and stochastics 13 (2009) 3, pp. 445-469
Persistent link: https://www.econbiz.de/10003899327